Anchor devices for use in masonry structures such as concrete and more particularly of the pull-to-set or wedge variety typically are multi-operation devices. Typical prior art devices require a separate drill type member to form a bore into which the anchor is placed. In operation, the drill is removed in some manner and an anchor bolt assembly is positioned in the hole. It is not uncommon for prior art devices to utilize a drill member in some manner as a component of the anchor device. However, all of the prior art devices require the removal of the drill element after it has formed the bore so that a second or further member can be associated with the drill to form the anchor. For example, in one such prior art device the drill member is formed from a cylindrical sleeve with teeth formed at one end. In use, the sleeve forms a hole in the concrete by a rotary percussion hammer and the axial bore through the sleeve permits the exit of material. When the hole has been drilled to a predetermined depth, the sleeve is removed and a tapered plug is positioned in one end. This combination device is then inserted in the hole and expanded by an impact force to the other end of the device. Another attempt by the prior art to utilize the drill as a member of the anchor device utilizes the drill as a conical type expanded plug which may or may not be left in the hole. In either case, however, a separate sleeve member must be positioned over this device and expanded.